Package org.drip.investing.factors

Class PortfolioFinancingScheme

java.lang.Object
org.drip.investing.factors.PortfolioFinancingScheme
public class PortfolioFinancingScheme
extends java.lang.Object
PortfolioFinancingScheme maintains the Financing Scheme Settings used in Factor Portfolio Construction. The References are:

  • Blitz, D., M. X. Hanauer, M. Vidojevic, and P. van Vliet (2018): Five-Factors with the Five-Factor Model Journal of Portfolio Management 44 (4) 71-78
  • Fama, E. F., and K. R. French (1992): The Cross-section of Expected Stock Returns Journal of Finance 47 (2) 427-465
  • Fama, E. F., and K. R. French (2015): A Five-Factor Asset Pricing Model Journal of Financial Economics 116 (1) 1-22
  • Foye, J. (2018): Testing Alternative Versions of the Fama-French Five-Factor Model in the UK Risk Management 20 (2) 167-183
  • Wikipedia (2024): Fama–French three-factor model https://en.wikipedia.org/wiki/Fama%E2%80%93French_three-factor_model


Author:
Lakshmi Krishnamurthy

  • Field Summary

    Fields
    Modifier and Type Field Description
    static int SELF_FUNDING
    Self Funding Portfolio Financing Scheme
    static int ZERO_COST
    Zero Cost Portfolio Financing Scheme
    static int ZERO_INVESTMENT
    Zero Investment Portfolio Financing Scheme

  • Constructor Summary

    Constructors
    Constructor Description
    PortfolioFinancingScheme()  

  • Method Summary

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

    • ZERO_INVESTMENT

      public static final int ZERO_INVESTMENT
      Zero Investment Portfolio Financing Scheme
      See Also:
      Constant Field Values

    • ZERO_COST

      public static final int ZERO_COST
      Zero Cost Portfolio Financing Scheme
      See Also:
      Constant Field Values

    • SELF_FUNDING

      public static final int SELF_FUNDING
      Self Funding Portfolio Financing Scheme
      See Also:
      Constant Field Values

  • Constructor Details

    • PortfolioFinancingScheme

      public PortfolioFinancingScheme()